Nanex Research
Nanex ~ 07-Jun-2013 ~ Jobs Number Chaos
On June 7, 2013, someone aggressively sold T-Bond and T-Note futures 482 milliseconds
before the official release of the
Jobs Report. Aggressive selling of gold futures contracts began
62 milliseconds before
the official release. This sort of thing is becoming
all too
common. It also
appears the T-Bond, T-Note and eMini futures entered a circuit breaker - trades halted for 5 seconds, but quotes
did not.
1. Trades from all Futures. Chart shows about 7 seconds of time.
2. September 2013 T-Bond Futures trades and quote spread. Chart shows about
27 seconds of time.
3. September 2013 10-Year T-Note Futures trades and quote spread. Chart shows
about 1 second of time.
4. September 2013 10-Year T-Note Futures trades and quote spread. Zoom-out of Chart 3.
5. September 2013 5-Year T-Note Futures trades and quote spread. Chart shows
about 7 seconds of time.
6. August 2013 Gold Futures trades and quote spread. Chart shows about 200 milliseconds
of time.
7. June 2013 ES Futures (eMini) depth of book.
8. June 2013 ES Futures (eMini) trades and quote spread.
9. June 2013 ES Futures (eMini) trades and quote spread.
10. June 2013 ES Futures (eMini) quotes.
11. June 2013 ES Futures (eMini) trades and quote spread.
12. June 2013 ES Futures (eMini) quote spread.
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